How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.4785	3.64***
αARCH	0.2794	3.67***
βGARCH	0.6364	7.91***

γ₁	5.0830	3.64***
γ₂	-9.8382	-4.32***
γ₃	6.3483	3.92***
γ₄	-2.4040	-1.53
γ₅	0.5398	0.28
γ₆	1.7033	0.66

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4785	3.64***
α ARCH Response to squared shocks	0.2794	3.67***
β GARCH Volatility persistence	0.6364	7.91***

γ₁	5.0830	3.64***
γ₂	-9.8382	-4.32***
γ₃	6.3483	3.92***
γ₄	-2.4040	-1.53
γ₅	0.5398	0.28
γ₆	1.7033	0.66

V-Lab

Windforce PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Windforce PLC Analyses